R and S-PLUS Functions for Time Series Analysis

R and Splus have a rich collection of functions for doing time series
analysis. For the beginner, however, the functions can be difficult
to use. I have written a collection of Splus functions to better
integrate the R and Splus analytical and graphical tools and provide a
simpler interface for doing Box-Jenkins type ARMA/ARIMA modeling and
analysis. There are also some routines for intervention analysis and
transfer function modeling. In
addition I have written some functions that use simulation to help
students and more experienced analysts get a better understanding of
the behavior of ARMA models. These functions are called,
collectively, SPLUSTS for Splus and RTSERIES for R.

Click to download a
self-executing zip file containing
RTSERIES and associated documentation and examples for R
running under Windows 95/98/NT/ME/2000/XP/Vista.

Click here to see or print the
SPLUSTS (Splus Time Series Analysis) software documentation. ( pdf
)

The port to R is recent and I have not had time to update
the documentation. The primary difference is in the way one reads in
data. The approach for reading in data for RTSERIES is, however,
clearly illustrated with the many examples in the download.

Click here to see or print
instructions for downloading and installing
SPLUSTS.

I also have an older version
to SPLUSTS that works under Splus 4.5 and 2000. Click to download a
self-executing zip file containing
SPLUSTS and associated documentation and examples for Splus 4.5
and 2000 running under Windows 95/98/NT/ME/2000/XP.